Strong convergence and stability of the semi-tamed and tamed Euler schemes for stochastic differential equations with jumps under non-global Lipschitz condition

MaRDI QIDQ5215840zbMATH OpenFDO

Authors Antoine Tambue, Jean Daniel Mukam

Publication date 13 February 2020

Full work available at URL https://arxiv.org/abs/1510.04729, http://www.math.ualberta.ca/ijnam/Volume-16-2019/No-6-19/2019-06-01.pdf

zbMATH Keywords

stochastic differential equationexponential stabilitystrong convergencelinear stabilityjump processesone-sided Lipschitz

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Abstract: We consider the explicit numerical approximations of stochastic differential equations (SDEs) driven by Brownian process and Poisson jump. It is well known that under non-global Lipschitz condition, Euler Explicit method fails to converge strongly to the exact solution of such SDEs without jumps, while implicit Euler method converges but requires much computational efforts. We investigate the strong convergence, the linear and nonlinear exponential stabilities of tamed Euler and semi-tamed methods for stochastic differential equation driven by Brownian process and Poisson jumps, both in compensated and non compensated forms. We prove that under non-global Lipschitz condition and superlinearly growing drift term, these schemes converge strongly with the standard one-half order. Numerical simulations to substain the theoretical results are provided.

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• Convergence and stability of the semi-tamed Milstein method for commutative stochastic differential equations with non-globally Lipschitz continuous coefficients
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• Mean-square convergence and stability of compensated stochastic theta methods for jump-diffusion SDEs with super-linearly growing coefficients
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